Bugs item #3116601, was opened at 2010-11-23 15:01
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Pending
Resolution: None
Priority: 5
Private: No
Submitted By:
https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Bond Yield calculation for short maturity bonds
Initial Comment:
Source file: bond.cpp
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>Comment By: Luigi Ballabio (lballabio)
Date: 2011-07-19 14:59
Message:
You mean that the settlement should be an additional argument? That would
not be feasible, since the clean price should be calculated at the same
date. Also, I'm not sure that you really meant with "when settlement <
maturity date", since the settlement cannot be later than the maturity. Do
you have some code that reproduces the problem?
----------------------------------------------------------------------
Comment By:
https://www.google.com/accounts ()
Date: 2010-11-23 15:03
Message:
Rate Bond::yield(const DayCounter& dc,
Compounding comp,
Frequency freq,
Real accuracy,
Size maxEvaluations) const {
Real currentNotional = notional(settlementDate());
if (currentNotional == 0.0)
return 0.0;
return BondFunctions::yield(*this, cleanPrice(), dc, comp, freq,
settlementDate(),
accuracy, maxEvaluations);
}
In the above function:
Real currentNotional = notional(settlementDate());
should be
Real currentNotional = notional(settlementDate(settlement));
else it will always return yield=0 if settlement < maturity date. this is
observed for short maturity bonds.
----------------------------------------------------------------------
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